Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

DOI10.2307/1912275zbMath0523.90017OpenAlexW2162328283MaRDI QIDQ3674364

Gary Chamberlain, Michael Rothschild

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://dash.harvard.edu/bitstream/handle/1/3230355/Chamberlain_ArbitrageFactor.pdf

zbMATH Keywords

principal component analysisfinancearbitragemean-variance analysisrisk-free investmentapproximate factor structurecontinuous portfolio costsmarket with many assets

Mathematics Subject Classification ID

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